The existence of absolutely continuous local martingale measures
From MaRDI portal
Publication:1916477
DOI10.1214/aoap/1177004600zbMath0847.90013OpenAlexW4229620168MaRDI QIDQ1916477
Freddy Delbaen, Walter Schachermayer
Publication date: 8 July 1996
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1177004600
absence of arbitragepredictable processesabsolutely continuous martingale measureRadon-Nikodym theorems
Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10)
Related Items
General dynamic term structures under default risk, Martingale representation theorems for initially enlarged filtrations., A partial introduction to financial asset pricing theory., Free lunch and arbitrage possibilities in a financial market model with an insider., Conservative delta hedging., On the structure of general mean-variance hedging strategies, Between data cleaning and inference: pre-averaging and robust estimators of the efficient price, A note on super-hedging for investor-producers, The existence of dominating local martingale measures, Relative arbitrage: Sharp time horizons and motion by curvature, Super‐replication with transaction costs under model uncertainty for continuous processes, SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS, Volatility measurement with pockets of extreme return persistence, Arbitrage in skew Brownian motion models, Arbitrage problems with reflected geometric Brownian motion, Time-consistent mean-variance portfolio selection in discrete and continuous time, Financial markets with a large trader, Local risk-minimization for defaultable claims with recovery process, ANOVA for diffusions and Itō processes, On arbitrages arising with honest times, Implied and realized volatility: empirical model selection, Financial options and statistical prediction intervals, Optimal arbitrage under model uncertainty, Optimal consumption from investment and random endowment in incomplete semimartingale markets., A General Benchmark Model for Stochastic Jump Sizes, On changes of measure in stochastic volatility models, DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM, The fundamental theorem of asset pricing for continuous processes under small transaction costs, Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices, The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times, The numéraire portfolio in semimartingale financial models, Stability of utility-maximization in incomplete markets, HEDGING UNDER ARBITRAGE, Simple arbitrage, Polynomial processes in stochastic portfolio theory, Yan theorem in \(L^{\infty}\) with applications to asset pricing, Asymptotic arbitrage with small transaction costs, Arbitrage and approximate arbitrage: the fundamental theorem of asset pricing, Stochastic Integrals and Conditional Full Support, The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints, Characterization of arbitrage-free markets, Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem, The Shannon information of filtrations and the additional logarithmic utility of insiders, Progressive enlargements of filtrations with pseudo-honest times, On the dual problem of utility maximization in incomplete markets, Small time central limit theorems for semimartingales with applications, OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES, BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets, Additional logarithmic utility of an insider, The Estimation of Leverage Effect With High-Frequency Data, Diffusion-Based Models for Financial Markets Without Martingale Measures, WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS, Market Models with Optimal Arbitrage, No Arbitrage and the Growth Optimal Portfolio, \(\mathcal E\)-martingales and their applications in mathematical finance, THE TWO FUNDAMENTAL THEOREMS OF ASSET PRICING FOR A CLASS OF CONTINUOUS-TIME FINANCIAL MARKETS
